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Expected shortfall and tail conditional expectation with the Pearson type IV distribution
Stavroyiannis, Stavros - In: Global business & economics review 18 (2016) 1, pp. 41-53
Persistent link: https://www.econbiz.de/10011738550
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On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices
Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
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On the time varying nature of herding behaviour: evidence from major European indices
Stavroyiannis, Stavros; Babalos, Vassilios - In: Global business & economics review 17 (2015) 3, pp. 298-309
Persistent link: https://www.econbiz.de/10011498524
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On the generalised Pearson distribution for application in financial time series modelling
Stavroyiannis, Stavros - In: Global Business and Economics Review 16 (2014) 1, pp. 1-14
We elaborate on a new distributional scheme resulting from the generalised Pearson distribution with application to financial modelling. As case studies, we consider the major historical indices daily returns, DJIA, NASDAQ composite, FTSE100, CAC40, DAX and S%P500, as well as, high-frequency...
Persistent link: https://www.econbiz.de/10010816620